{
  "abstract": "Sequential forecast intervals are often evaluated by aggregate coverage even when calibration memory is bounded. This can be misleading when economically important states recur after long absences: a recent-only buffer may satisfy its overall coverage target while no longer containing errors from earlier episodes of the returning state. We study this problem in next-day financial range forecasting, holding the forecasting model, conformity score, adaptive update, and memory budget constant while varying the historical residual information available at each query. Recent-only first-in, first-out (FIFO) calibration is near nominal in aggregate but undercovers substantially during high-volatility states in both an exchange-traded fund development panel and a fixed stock panel. An unbounded state-history reference yields a lower observed stress-period interval score; Rare replay yields lower high-VIX interval scores than the matched Recent-n and Hybrid-n controls in both panels, and the state-structured versus recent-only contrast is largest near stress re-entry. Bounded calibration memory is therefore part of the forecasting information design, and aggregate calibration alone can conceal state-specific reliability failures.",
  "abstract_shown": true,
  "affiliations": [],
  "article_type": null,
  "arxiv": "2611.04223",
  "author_total": 2,
  "authors": [
    {
      "name": "Ruihang Han"
    },
    {
      "name": "Li-Hsiang Lin"
    }
  ],
  "bibtex": "https://research.draconitic.com/paper/36287hwks7jkm.bib",
  "cited_by": 0,
  "doi": "10.48550/arxiv.2611.04223",
  "fulltext_url": null,
  "id": "36287hwks7jkm",
  "issns": [],
  "landing_url": "https://arxiv.org/abs/2611.04223",
  "language": null,
  "licence": "CC-BY-4.0",
  "licence_label": "CC BY 4.0",
  "licence_source": "article",
  "licence_url": "http://creativecommons.org/licenses/by/4.0/",
  "metadata_licence": "CC0-1.0",
  "native_subjects": [
    [
      "arxiv",
      "q-fin.ST"
    ],
    [
      "arxiv",
      "stat.ME"
    ]
  ],
  "openalex": null,
  "pdf_url": "https://arxiv.org/pdf/2611.04223",
  "pmcid": null,
  "pmid": null,
  "published": "2026-11-03",
  "publisher": null,
  "ris": "https://research.draconitic.com/paper/36287hwks7jkm.ris",
  "sources": [
    {
      "first_seen": "2026-11-04T15:21:34Z",
      "native_id": "2611.04223",
      "source": "arxiv",
      "url": "https://arxiv.org/abs/2611.04223"
    }
  ],
  "subjects": [
    {
      "field": "mathematics",
      "origin": "arxiv:stat.ME",
      "subfield": "statistics"
    }
  ],
  "title": "Aggregate Calibration Can Mask Stress-State Undercoverage: Bounded-Memory Forecast Intervals under Recurrent Financial Stress",
  "title_text": "Aggregate Calibration Can Mask Stress-State Undercoverage: Bounded-Memory Forecast Intervals under Recurrent Financial Stress",
  "type": "preprint",
  "updated_at": "2026-11-06T18:21:10Z",
  "url": "https://research.draconitic.com/paper/36287hwks7jkm",
  "venue": "arXiv",
  "versions": []
}